AdaptiveGlasso
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Description
Implements an adaptive graphical lasso method for sparse precision matrix and network estimation. The method combines ridge stabilization, cross-validated regularization, an initial graphical lasso estimate, and adaptive edge-specific penalties to estimate sparse conditional dependence structures. The method supports settings where the sample size is smaller than, equal to, or larger than the number of variables.
This page was built for software: AdaptiveGlasso
